Apparently, some things have gone awry in the sanctity of the Dark Brotherhood's home. Talk to Astrid after Cicero's moment of insanity and attempt at Astrid's life. Search Cicero’s room for a journal and take it to Astrid. The journal details the password and location of an older and currently unused Dark Brotherhood Sanctuary near Dawnstar.

Astrid gives you a mighty steed by the name of Shadowmere. Completing this quest will transfer permanent ownership to you. Use him to travel to Dawnstar (or just Fast Travel if you wish).

You'll find Arnbjorn mortally wounded outside the Dawnstar Sanctuary. It doesn't take much convincing to get him to go back to Astrid.

Be ready for multiple traps, spectral assassins, and a deadly Frost Troll. There's also a couple of skill books on the table in the map room, just past the first hanging bridge (with vertical spike traps).

Find Cicero, and decide here and now whether to kill him or spare him. Leaving him alive will give the quest Cicero's Return, but choosing to kill him shows that his clownish act belies considerable fighting abilities.

Report back (if you spare him, you will lie) to Astrid about Cicero’s fate.